前辈cyberboy的回帖

第一:需要先细化自己的目标,不要野心太大追逐圣杯和永动机,能够找到一个某些时空下可以有效工作地东西就可以偷笑了;全天候无差别攻击的飞行器不是地球人现阶段需要考虑的发展方向,你能找到一个三不管海域,想出AK47+快艇狼群战术就是福至心灵了。

第二:补习一下模型选择,不要扔到锅里就是菜,拿一大堆名字很酷的算法,你得知道各模型的优缺点,什么时候该用什么模型。个人认为最简单的kNN和NaiveBayesian以及规则推导(C4.5?不清楚现在版本)是最好用的,比很酷的向量机神经网络遗传退火蚂蚁什么都靠谱,而且这几个算法其实可以化生出绝大多数的算法了。

第三:重视Feature Engineering/Selection, 诚如Kanlee所责,光拿价格数据是不够的,加上更多的数据维度会有帮助,比如成交量,比如基本面数据,比如市场新闻,比如内部人行为,但也不是他所说完全没用,纯技术派某些市场某些产品某些时空可以称霸。安乐先生看见只鸟都可以知道南人北相,但在那之前你得有几十年的广博经验阅历打底。个人认为这块的投入资源应该远远超过其他所有的部分。

第四:你的评价函数和测试培训过程需要大幅度改变,应用一下主流基金评价体系比如风险调整后回报/最大回撤之类的会更好,其次不要用单一的数据划分去培训,我建议把时间序列数据作若干次随机划分,每次假定一个/两个划分时间点,之前数据训练,之后数据用于测试,有可能分成三段数据,加上Tunning会更好,综合若干次(总得百次以上才有意义)。

第五:确定你的战场。很多金工爱好者选国内期指,可以是一个方向,但是一个拥挤窄小的水潭,你们的资金也根本无法承受几张期货的涨跌,根本无法有效实盘作战。建议你们眼光放宽点,海外的标普/恒生/黄金/国债/石油都是非常好的品种,接近24小时交易的同时,大多有mini期货,可以让你的交易粒度更细,多玩几轮再死。另外一个能适应多个产品多个市场的模型/系统,适应性鲁棒性显然不用说,overfitting的可能大幅度降低。

第六:不要急着追逐成功,多输钱是好事,试着把所有能输钱的方式都试一次,离赢钱就不远了。在市场上生存下去远比输赢重要,明白这一点,可能有助于你解决第一个问题。

第七;给Kanlee这样的学院派或者经济学/基本面信徒,宇宙很大,大家各有各的生存方式,各有各的角度,没有谁能穷尽这个市场或者找到永远正确的整理,适者生存不断进化才是王道。定价是很重要,基本功,不过价位什么必须得定呢?经济学和书本上的东西有太多假设,实际金融市场是暗夜森林,弱肉强食。如果从数量上说,我相信目前市场上大多数东西是被人操纵定价多过市场定价或者基本面决定,别跟我说长期。让我推举金融学者这若干年值得学的东西,我的排序是Position Sizing/行为金融学/博弈论;我只相信超级大亨们的经济学,学院和政府食客的经济学,甚至主要国家的主要政客,绝大多数混口饭吃。你的身家说明你的经济学功底,这就是我的经济学评价函数,你觉得呢?

书单

乞丐版:

Pairs Trading: Quantitative Methods and Analysis

Mathemmatics for Finance: An Introduction to Financial Engineering

Paul Wilmott Introduces Quantitative Finance

Trading Exchanges: Market Microstructure for Practitioners

=========================================================================

诸神翻译Wilmott的推荐版:

0.0 First steps — General:

A. Black Scholes and Beyond: Option Pricing Models, N A Chriss
B. Derivative Securities, R Jarrow, S Turnbu
C. Introduction to Mathematical Finance: Discrete Time Models, S R Pliska (经济科学 中译本)

0.1 First steps — Interest rates:

A. Fixed Income Analytics, K Garbade

0.3 First steps — Stochastic Calculus:

A. An Introduction to the Mathematics of Financial Deivatives, S N Neftci.

0.5. First steps — Honourable mention:

A. Option Market Making: Trading and Risk Analysis for the Financial and Commodity Option Markets, A J Baird

=========================================================================

1.0. Introductory — General:

A. Options Markets, J C Cox, M Rubinstein (清华 影印本)
B. Options, Futures, and Other Derivatives, J C Hull (清华 影印本)
C. An Introduction to Mathematical Finance: Options and Other Topics, S M Ross
D. Paul Wilmott Introduces Quantitative Finance, P Wilmott.
E. The Mathematics of Financial Derivatives: A Student Introduction, P Wilmott, S Howison, J Dewynne

1.1 Introductory — Interest rates:

A. Modelling Fixed Income Securities and Interest Rate Options, R A Jarrow

1.2 Introductory — Exotics:

A. Structured Equity Derivatives: The Definitive Guide to Exotic Options and Structured Notes, H M Kat

1.3 Introductory — Stochastic Calculus:

A. Elementary Stochastic Calculus With Finance in View, T Mikosch.

1.4 Introductory — Computational:

A. Pricing Derivative Securities: An Interactive, Dynamic Environment with Maple V and Matlab, E Z Prisman

1.5 Introductory — Honourable mention:

A. Investment Under Uncertainty, A K Dixit, R S Pindyck (中译本)
B. The Complete Guide to Option Pricing Formulas, E G Haug
C. Real Options: Managerial Flexibility and Strategy in Resource Allocation, L Trigeorgis

=========================================================================

2.0 Halfway technical — General:

A. Quantitative Modeling of Derivative Securities From Theory To Practice, M Avellaneda, P Laurence
B. Financial Calculus : An Introduction to Derivative Pricing, M Baxter, A Rennie
C. Arbitrage Theory in Continuous Time, T Bjork
D. Theory of Financial Decision Making, J E Ingersoll
E. Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives, R Kiesel, N H Bingham
F. Mathematical Models of Financial Derivatives, Y K Kwok
G. Continuous-Time Finance, R C Merton (人大 中译本)
H. Paul Wilmott on Quantitative Finance, 2 Volume Set, P Wilmott.

2.2. Halfway technical — Stochastic Calculus:

A. Introduction to Stochastic Calculus with Applications, F C Klebaner

2.4. Halfway technical — Computational:

A. Implementing Derivatives Models, L Clewlow, Chr Strickland
B. Pricing Financial Instruments: The Finite Difference Method, D Tavella, C Randall

2.5. Halfway technical — Honourable mention:

A. The Treasury Bond Basis, G D Burghardt, T M Belton, M Lane, J Papa.
B. Dynamic Hedging, N Taleb.

=========================================================================

3.0 Technical — General:

A. Options, Futures and Exotic Derivatives, E Briys, M Bellalah, H M Mai, F de Varenne
B. Modelling And Hedging Equity Derivatives, O Brockhaus, A Ferraris, Ch Gallus, D Long, R Martin, M Overhaus
C. Dynamic Asset Pricing Theory, D Duffie
D. Derivatives in Financial Markets With Stochastic Volatility, J-P Fouque, G Papanicolaou, K R Sircar
E. Mathematics of Financial Markets, P E Kopp, R J Elliott
F. Option Pricing and Portfolio Optimization: Modern Methods of Financial Mathematics, R Korn, E Korn
F. Introduction to Stochastic Calculus Applied to Finance, D Lamberton, B Lapeyre, N Rabeau
G. Martingale Methods in Financial Modelling, M Musiela, M Rutkowski
H. Pricing and Hedging of Derivative Securities, L T Nielsen
I. Essentials of Stochastic Finance: Facts, Models, Theory, A N Shiryaev

3.1 Technical — Interest rates:

A. Interest Rate Models Theory and Practice: Theory and Practice, D Brigo, Fabio Mercurio
B. Efficient Methods for Valuing Interest Rate Derivatives, A Pelsser
C. Interest-Rate Option Models: Understanding, Analyzing and Using Models for Exotic Interest-Rate Options, R Rebonato
D. Interest Rate Modelling: Financial Engineering, N Webber, J James

3.2 Technical — Stochastic Calculus:

A. Brownian Motion and Stochastic Calculus, I Karatzas, S E Shreve
B. Stochastic Differential Equations, B Oksendal (以前世界图书有过影印本)
C. Stochastic Calculus and Financial Applications, J M Steele

3.5 Technical — Honourable mention:

A. Optimal Portfolios, R Korn
B. Option Valuation under Stochastic Volatility, A L Lewis

=========================================================================

4.0 Hard core — General:

A. Security Markets: Stochastic Models, D Duffie
B. Financial Derivatives in Theory and Practice, P J Hunt, J Kennedy
C. Introduction to Option Pricing Theory, R L Karandikar, G Kallianpur
D. Methods of Mathematical Finance, I Karatzas, S E Shreve

4.3 Hard core — Stochastic Calculus:

A. Continuous Martingales and Brownian Motion, D Revuz, M Yor
B. Diffusions, Markov Processes, and Martingales (two volumes), L C G Rogers, D Williams

……

把数据从 Oracle 迁移到 SQL Server 2008

过几天有 TB 级别的数据要从 Oracle 导到 SQL Server,今天学习了一下试了试单表迁移。记在这。

感谢名策数据gaiwei老师解惑。

目标:把数据从 Oracle 迁移到 SQL Server 2008。

1. 将 Oracle 中的表数据导出为以逗号分隔的 txt 文件。

2. 在 SQL Server 数据库上创建表。

3. 在SQL Server 数据库上生成导入数据文件所需的 format 文件:

bcp master..IF_QUOTE_1MIN format null -f IF_QUOTE_1MIN.fmt -c -t, -T -S GS16040D2

4. 用 bcp 导入(下例服务器名称 GS16040D2,库名 master,表名 IF_QUOTE_1MIN)

bcp.exe master..IF_QUOTE_1MIN in IF_QUOTE_1MIN_2011.txt -f IF_QUOTE_1MIN.fmt -e IF_QUOTE_1MIN.err -m 0 -t, -r\n -E   -T -S GS16040D2 -b50000 -k

先记在这。

关于今晚的32年不胜终结

二十年爱国主义教育,真不如国足赢一场球。

开博了

山上的朋友你们好,本站系大龄不靠谱男青年没米汤喝的部落格。

不知道为啥我一直喜欢“部落格”这个宝岛译过来的名称。

Pages: Prev 1 2